Close any other open programs when playing the game.
Turn your graphics down.
Turn your screen resolution down.
Turn you FOV down. Note: if this is low, you won't be able to see far away units, but they may be able to see you... (FOV = Field of View)
Turn the AI down (means AI on easy). Less AI means less CPU power for units and more for graphics.

or buy a new graphic card.

The game doesn't have a sky because eighter you are inside or underground or your FOV is too low to see it.

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Don't worry too much about the AI. Battlefront engine utilises shaders and is very much GPU bound - the CPU has hardly any work to do graphically. Missing skybox could be driver issues. I would suggest upgrading your drivers to the latest version, also ensure you are running DirectX 9.0c.

Tips to increase speed:
Crank down the FOV - field of vision (draw distance in other words)
Turn texture quality to low (this will stop the card choking so much)
Turn LOD (level of detail) to low
Reduce the resolution
Turn of Anti aliasing and Anistropic filtering if you have them on

Buying a new gfx card is always a good idea if you can afford it - but turning down lod and fov and turning the texures down should give you a huge increase in speed.